When Holmes enters the bedroom of the daughter of Lord Massingham, he closes the door behind him and the click of the door catch is clearly audible. However, Lord Massingham said that he could only gain access to his daughter's room by forcing the door. That door definitely had not been forced.
At the Ball, Edward VII and Queen Alexandra were introduced as "Their Royal Majesties". Such a style was never used by British Monarchs. Edward VI simply used the style "His Majesty" even though, as Emperor of India, he was entitled to be styled His Imperial and Royal Majesty.
Identical twins do not have exactly the same fingerprints. Correction: Sherlock Holmes states in this movie that twins do NOT have the same fingerprints.
In a close-up shot of Holmes playing his violin, the first note finishes with vibrato, yet his finger on the fingerboard is stationary.
When Holmes is reading by his fireside, he listens to the last movement of Schubert's string quartet, "Death and the Maiden", on his gramophone. However, the quality of the sound is far too good for a gramophone, the music is clearly being played by a string orchestra rather than a string quartet, and a timpani part has been added.
The police are seen using telephones in 1902, but in reality, the first phone was not installed at New Scotland Yard until 1903.
Many characters seen smoking filtered cigarettes, which were not available until 1935, and were considered a specialty item until the fifties.
Boom pole visible in the church graveyard scene in the high shot looking down in the fog.